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Credit portfolio selection with decaying contagion intensities

文献类型：期刊论文

作者Bo, Lijun1,2; Capponi, Agostino3; Chen, Peng-Chu4
刊名MATHEMATICAL FINANCE
出版日期2019
卷号29期号:1页码:137-173
关键词decay of default intensities dynamic programming fixed-income investment parabolic PDEs
ISSN号0960-1627
DOI10.1111/mafi.12177
通讯作者Capponi, Agostino(ac3827@columbia.edu)
英文摘要We develop a fixed-income portfolio framework capturing the exponential decay of contagious intensities between successive default events. We show that the value function of the control problem is the classical solution to a recursive system of second-order uniformly parabolic Hamilton-Jacobi-Bellman partial differential equations. We analyze the interplay between risk premia, decay of default intensities, and their volatilities. Our comparative statics analysis finds that the investor chooses to go long only if he is capturing enough risk premia. If the default intensities deteriorate faster, the investor increases the size of his position if he goes short, or reduces the size of his position if he goes long.
WOS关键词DEFAULT
资助项目NSF of China[11471254] ; Key Research Program of Frontier Sciences, CAS[QYZDB-SSW-SYS009] ; Fundamental Research Funds for Central Universities[WK3470000008] ; National Science Foundation[DMS 1716145] ; University of Hong Kong Seed Fund for Basic Research[201705159004]
WOS研究方向Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种英语
WOS记录号WOS:000455268800005
出版者WILEY
资助机构NSF of China ; NSF of China ; NSF of China ; NSF of China ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; NSF of China ; NSF of China ; NSF of China ; NSF of China ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Key Research Program of Frontier Sciences, CAS ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; Fundamental Research Funds for Central Universities ; National Science Foundation ; National Science Foundation ; National Science Foundation ; National Science Foundation ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research ; University of Hong Kong Seed Fund for Basic Research
源URL[http://ir.hfcas.ac.cn:8080/handle/334002/41488]  
专题中国科学院合肥物质科学研究院
通讯作者Capponi, Agostino
作者单位1.Univ Sci & Technol China, Sch Math Sci, Hefei, Anhui, Peoples R China
2.Chinese Acad Sci, Wu Wen Tsun Key Lab Math, Hefei, Anhui, Peoples R China
3.Columbia Univ, Dept Ind Engn & Operat Res, New York, NY 10027 USA
4.Univ Hong Kong, Dept Ind & Mfg Syst Engn, Pokfulam, Hong Kong, Peoples R China
推荐引用方式
GB/T 7714		 Bo, Lijun,Capponi, Agostino,Chen, Peng-Chu. Credit portfolio selection with decaying contagion intensities[J]. MATHEMATICAL FINANCE,2019,29(1):137-173.
APA Bo, Lijun,Capponi, Agostino,&Chen, Peng-Chu.(2019).Credit portfolio selection with decaying contagion intensities.MATHEMATICAL FINANCE,29(1),137-173.
MLA Bo, Lijun,et al."Credit portfolio selection with decaying contagion intensities".MATHEMATICAL FINANCE 29.1(2019):137-173.

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来源：合肥物质科学研究院

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